Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0250 |
| Annualized Std Dev | 0.2366 |
| Annualized Sharpe (Rf=0%) | -0.1057 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4757.0000 |
| NAs | 1.0000 |
| Minimum | -0.1986 |
| Quartile 1 | -0.0046 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1657 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -1.2056 |
| Kurtosis | 28.4576 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0107 |
| Loss Deviation | 0.0141 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.7181 |
| Historical VaR (95%) | -0.0190 |
| Historical ES (95%) | -0.0381 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0206 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-07 | 2020-03-23 | NA | -0.7181 | 3595 | 3344 | NA |
| 2002-05-16 | 2002-10-28 | 2003-06-06 | -0.2020 | 267 | 115 | 152 |
| 2004-01-22 | 2004-05-10 | 2006-07-11 | -0.1643 | 622 | 76 | 546 |
| 2003-07-03 | 2003-08-05 | 2003-10-10 | -0.0753 | 70 | 23 | 47 |
| 2006-09-11 | 2006-10-03 | 2006-10-25 | -0.0537 | 33 | 17 | 16 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | 0.3 | -0.1 | -0.7 | -0.4 | 0.4 | 1.6 | 1 | 0 | 2.4 | 4.7 |
| 2003 | -0.6 | 0.4 | 0.2 | 0.8 | 0.5 | 0.5 | -1.4 | 0.7 | 0.6 | 1.4 | 1 | 0.5 | 4.5 |
| 2004 | 0.3 | 0.9 | 2.2 | 0.3 | -1.2 | 0.9 | 0.5 | 0.2 | 0.2 | 0.2 | -0.2 | 1 | 5.4 |
| 2005 | 0.4 | -0.3 | 0.3 | 0.2 | 1.3 | 0.2 | 1.6 | 0.2 | 1 | -0.4 | -0.2 | 1.2 | 5.8 |
| 2006 | -0.1 | -0.1 | -0.7 | -0.1 | 0 | 0.1 | 1.7 | 0.2 | -0.3 | -0.6 | 0.6 | 0.1 | 0.9 |
| 2007 | -0.4 | -0.3 | 0.7 | -0.3 | 0.5 | 0.9 | 0.6 | 1.2 | 1.7 | -0.4 | 3.5 | 0.7 | 8.6 |
| 2008 | 0 | -0.8 | 2.3 | 0.7 | 0.1 | -0.7 | 1.8 | -0.3 | 6.5 | -3.7 | -5.6 | 1.1 | 0.9 |
| 2009 | -2.8 | 0.6 | 2.4 | 1.7 | 0.3 | 0.3 | -0.1 | -0.6 | -1 | -1.7 | 1.8 | 0.3 | 1 |
| 2010 | 1.1 | 0.9 | 0.8 | -0.3 | 1.6 | -2.5 | 0.6 | 0.7 | 0.7 | -0.5 | 0.3 | -0.1 | 3.3 |
| 2011 | 0.1 | 0.1 | 0.1 | 0.3 | -0.3 | -0.7 | 1.5 | 0.2 | -1.2 | -0.6 | 0.9 | -0.1 | 0.4 |
| 2012 | -0.1 | 0 | 0 | 1.3 | -0.7 | 0.4 | 0.9 | 0 | 0.3 | 0 | -1.3 | -0.2 | 0.6 |
| 2013 | -0.5 | 0.2 | 0.6 | -0.7 | -1.9 | 0.6 | -0.2 | -0.2 | 0 | -0.2 | 0.8 | -0.2 | -1.6 |
| 2014 | 0.3 | -0.2 | 0.4 | 0.4 | 0.3 | -0.1 | 0 | 0.5 | 0.9 | 0.1 | -0.2 | -1.2 | 1.4 |
| 2015 | 1.4 | 1.1 | 0.9 | 0.6 | -0.3 | 0.6 | 0.1 | -0.3 | -1.7 | 0.1 | 0.4 | 1.1 | 3.9 |
| 2016 | -0.6 | 1.7 | -0.6 | 1.5 | 0.5 | -0.1 | -0.9 | 0.3 | 0.9 | 0.8 | -0.8 | 0.4 | 3.1 |
| 2017 | 0 | 0.2 | 0 | -0.2 | -0.2 | 1 | 0.1 | 0.1 | 0.4 | 0.2 | 0.7 | 0 | 2.4 |
| 2018 | 0.6 | 0.1 | 0.2 | 0.5 | 0.3 | -0.2 | 1 | 0.6 | 0.2 | 0.9 | -0.5 | -1.1 | 2.7 |
| 2019 | 0.8 | 0.2 | 0.9 | -0.8 | -1.9 | 2.2 | -0.3 | 0 | 0.5 | 0.4 | 0.3 | 0.5 | 3 |
| 2020 | 0 | -3.2 | -2.8 | -1.9 | 1.2 | 0.9 | 0.5 | 0.4 | 1.5 | -0.5 | 0.1 | -1.2 | -5 |
| 2021 | 0.1 | 1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
